SEASONALITY, OUTLIERS AND LINEARITY

Philip Hans Franses

No 272395, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: In the present paper a case is made for the simultaneous treatment of seasonality, outliers and nonlinearity in economic time series. It is empirically shown that outlying observations may cause that a regularly applied differencing procedure for monthly data induces a nonlinear time series. A more appropriate handling of the eventual seasonality and nonstationarity yields that linearity can not be rejected.

Keywords: Agricultural and Food Policy; Research Methods/ Statistical Methods (search for similar items in EconPapers)
Pages: 26
Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272395

DOI: 10.22004/ag.econ.272395

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